Vito Polito and Peter Spencer, "Optimal Control of Heteroscedastic Macroeconomic Models", Journal of Applied Econometrics, Vol. 31, No. 7, 2016, pp. 1430-1444. The data include 242 observations for the United States from 1953-01-01 to 2013-04-01 of the following three variables: inflation, unemployment and rate of interest. All data have are already de-meaned. The data are in the file ps-data.txt, and ASCII file in DOS format which is zipped in the file ps-data.zip. Unix/Linux users should use "unzip -a".